Study On The Pricing Mechanism Of The Interbank Lending Rate In China

Since Shibor (Shanghai Interbank Offered Rate) is officially released on January4,2007by china,its status on benchmark interest Rate has been determined in domesticwhich makes our country takes a steady pace on the way of marketization of interestRate. As an important indicator of borrowing money on the price of the currencymarket,Shibor not noly guides the effective allocation of resources,but also contact thefinancial markert and real economy market closely. From the perspective of commercialbanks,how to build a rational pricing mechanism lending process has been theconstantly tackling problems of Achieving liquidity management. From the perspectiveof the other participants in financial markets,interest rates on the interbank pricinganalysis can also help them to a clearer understanding of the liquidity situation of thefinancial markets.This paper adopts the method of combining theoretical analysis with empiricalanalysis for reasearching to the interbank loan pricing mechanism. Interbank pricingmechanism is the interbank interest rate formation mechanism which essentiallyincluding three core issues. The first one is determine the pricing decision-making body;the second is formulating a reasonable pricing rule; the third is determine a clear pricingprocess. This paper chooses four Shibor pricing mechanism based on the currentsituation Shibor interbank market pricing analysis on the course, including the centralbank money supply,financial institutions demand for money, market liquidity,quotemechanism. Then quantitative these indicators in ensuring the same premise ofEconomic significance. In empirical research Shibor Pricing Model,Selecting92monthly data set from January2007to August2014period. Using Eviews software,thestability of the test,cointegration test,Granger causality test,and the establishment of avector error correction model (VECM). After weed out non-significant variables usingeconomics knowledge applying,this paper concluded: In the long run,one month periodShibor pricing is proportional to the financial institutions deposit ratio,the repo rate,the inflation rate. It is inversely to the M2supply. In the short term,one month period Shiborpricing is proportional to the Shibor price lagded one or two. It is inversely to the reporate and M2supply growth lagded two,It also inversely to the financial savings and loaninstitutions lagged three.After analysising of the operation mechanism of Shibor and the present stage ofour country’s financial policy,we can find that a reasonable interbank pricingmechanism is consistent with the interests of everyone. In this paper,Four suggestionsare mentioned for perfect interbank pricing mechanism. Including consider theperfection of formation mechanism of Shibor,increasing long-term lending transactionsbased on Shibor,improving the Shibor transmission mechanism,effective prevention ofmarket risk. This article will be value to forecast future Shibor trends and improve theShibor interest ratebenchmark. It also will be value to perfect the mechanism of pricingour country financial system.